Abstract
In a recent paper we presented a numerical technique for solving the optimal stopping problem for a piecewise-deterministic process (P.D.P.) by discretization of the state space. In this paper we apply these results to the impulse control problem. In the first part of the paper we study the impulse control of P.D.P.s. under general conditions. We show that iteration of the single-jump-or-intervention operator generates a sequence of functions converging to the value function of the problem. In the second part of the paper we present a numerical technique for computing optimal impulse controls for P.D.P.s. This technique reduces the problem to a sequence of one-dimensional minimizations. We conclude by presenting some numerical examples.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.